CMS Case Study

5 Year NII Simulation - Rising & Falling Rate Ramp Scenarios - 3/31/2021

Rising Rate Scenarios as of 03/31/2021

Falling Rate Scenarios as of 03/31/2021

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

8,125

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,000

5,875

4,750

3,625

2,500

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

Up 400BP 24M Flat Up 200BP

Up 200BP 24M Up 200BP

Base

Base

Down 100BP

NII RESULTS

YEAR 1 20,645 20,491 20,385 20,580 19,980

YEAR 2 20,619 20,138 19,633 20,298 18,312

YEAR 3 22,579 21,015 20,369 21,120 17,513

YEAR 4 25,105 21,963 21,409 22,001 16,855

YEAR 5 27,375 22,843 22,436 22,850 16,557

YEAR 1 19,980 19,734

YEAR 2 18,312 17,402

YEAR 3 17,513 16,110

YEAR 4 16,855 15,139

YEAR 5

UP 400BP 24M FLAT UP 200BP UP 200BP 24M

16,557 14,623

BASE

DOWN 100BP

UP 200BP

BASE

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